Extremal dependence of random scale constructions

DOI10.1007/s10687-019-00353-3zbMath1427.60097arXiv1803.04221OpenAlexW2963461147WikidataQ127518455 ScholiaQ127518455MaRDI QIDQ2283053

Jennifer L. Wadsworth, Sebastian Engelke, Thomas Opitz

Publication date: 27 December 2019

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.04221

zbMATH Keywords

copulaextreme value theorytail dependenceresidual tail dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

Related Items (11)

Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations ⋮ Modeling spatial extremes using normal mean-variance mixtures ⋮ Linking representations for multivariate extremes via a limit set ⋮ Heavy-tailed phase-type distributions: a unified approach ⋮ Asymmetric tail dependence modeling, with application to cryptocurrency market data ⋮ A Vecchia approximation for high-dimensional Gaussian cumulative distribution functions arising from spatial data ⋮ Total positivity in multivariate extremes ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Semiparametric bivariate modelling with flexible extremal dependence ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ On the tail behaviour of aggregated random variables

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